Recursive calculation of finite time ruin probabilities under interest force

R. M R Cardoso; Howard R. Waters

doi:10.1016/j.insmatheco.2003.09.008

Recursive calculation of finite time ruin probabilities under interest force

R. M R Cardoso, Howard R. Waters

Research output: Contribution to journal › Article › peer-review

27 Citations (Scopus)

Abstract

In this paper, we consider a classical insurance surplus process affected by a constant interest force. We present numerical algorithms for the calculation of finite time ruin probabilities using a discrete time Markov chain to approximate the risk process. Based on this method, upper and lower bounds are also obtained. © 2003 Elsevier B.V. All rights reserved.

Original language	English
Pages (from-to)	659-676
Number of pages	18
Journal	Insurance: Mathematics and Economics
Volume	33
Issue number	3
DOIs	https://doi.org/10.1016/j.insmatheco.2003.09.008
Publication status	Published - 19 Dec 2003

Keywords

Interest rate
Numerical algorithms
Ruin probability

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10.1016/j.insmatheco.2003.09.008

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abstract = "In this paper, we consider a classical insurance surplus process affected by a constant interest force. We present numerical algorithms for the calculation of finite time ruin probabilities using a discrete time Markov chain to approximate the risk process. Based on this method, upper and lower bounds are also obtained. {\textcopyright} 2003 Elsevier B.V. All rights reserved.",

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AB - In this paper, we consider a classical insurance surplus process affected by a constant interest force. We present numerical algorithms for the calculation of finite time ruin probabilities using a discrete time Markov chain to approximate the risk process. Based on this method, upper and lower bounds are also obtained. © 2003 Elsevier B.V. All rights reserved.

KW - Interest rate

KW - Numerical algorithms

KW - Ruin probability

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DO - 10.1016/j.insmatheco.2003.09.008

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JO - Insurance: Mathematics and Economics

JF - Insurance: Mathematics and Economics

IS - 3

ER -

Recursive calculation of finite time ruin probabilities under interest force

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Keywords

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